Term-structure forecasts of interest rates, inflation and real returns

Cochrane, 1988, How big is the random walk in GNP, Journal of Political Economy, 96, 893, 10.1086/261569

Culbertson, 1957, The term structure of interest rates, Quarterly Journal of Economics, 71, 485, 10.2307/1885708

Fama, 1976, Forward rates as predictors of future spot rates, Journal of Financial Economics, 3, 361, 10.1016/0304-405X(76)90027-1

Fama, 1984, The information in the term structure, Journal of Financial Economics, 13, 509, 10.1016/0304-405X(84)90013-8

Fama, 1986, Term premiums and default premiums in money markets, Journal of Financial Economics, 17, 175, 10.1016/0304-405X(86)90010-3

Fama, 1987, The information in long-maturity forward rates, American Economic Review, 77, 680

Fama, 1988, Permanent and temporary components of stock prices, Journal of Political Economy, 96, 246, 10.1086/261535

Fama, 1989

Fama, 1982, Inflation, real returns and capital investment, Journal of Monetary Economics, 9, 297, 10.1016/0304-3932(82)90021-6

Friedman, 1957

Geske, 1983, The fiscal and monetary linkage between stock returns and inflation, Journal of Finance, 38, 1, 10.2307/2327635

Hansen, 1982, Large sample properties of generalized method of moments estimators, Econometrica, 50, 1029, 10.2307/1912775

Hansen, 1980, Forward exchange rates as optimal predictors of future spot rates: An econometric analysis, Journal of Political Economy, 88, 829, 10.1086/260910

Huizinga, 1986, Monetary policy regime shifts and the unusual behavior of real interest rates, Carnegie-Rochester Conference Series on Public Policy, 24, 231, 10.1016/0167-2231(86)90011-4

Keim, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics, 17, 357, 10.1016/0304-405X(86)90070-X

Kessel, 1965, The cyclical behavior of the term structure of interest rates

Mishkin, 1990, What does the term structure tell us about future inflation?, Journal of Monetary Economics, 10.1016/0304-3932(90)90046-7

Modigliani, 1955, Utility analysis and the consumption function

Nelson, 1973

Nelson, 1982, Trends and random walks in macroeconomic time series, Journal of Monetary Economics, 10, 139, 10.1016/0304-3932(82)90012-5

Poterba, 1988, Mean reversion in stock returns: Evidence and implications, Journal of Financial Economics, 22, 3, 10.1016/0304-405X(88)90021-9

Shiller, 1983, Forward rates and future policy: Interpreting the term structure of interest rates, Brookings Papers on Economic Activity, 1, 173, 10.2307/2534355

Stambaugh, 1988, The information in forward rates: Implications for models of the term structure, Journal of Financial Economics, 21, 41, 10.1016/0304-405X(88)90031-1

White, 1980, A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity, Econometrica, 48, 817, 10.2307/1912934